Dividend growth predictability and the price-dividend ratio
Asymptotic tests over-reject the null of no predictability in present-value models. We develop a nonparametric testing approach in state space models, implying reliable finite sample inference under weak assumptions on price-dividend ratio and dividend shocks. We find sharp evidence of return predic...
| Egile Nagusiak: | , |
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| Formatua: | Journal article |
| Argitaratua: |
INFORMS
2019
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